Risk and return are two fundamentals that have an impact on an investor???s or hedger???s investing choices. Based on the proposed synchronous movement intensity index, this paper aims to improve the hedging performance by adjusting the model-driven hedge ratio and realize the trade-off between return and risk in futures hedging. First, without loss of generality, we forecast crude oil spot and futures volatility using 10 GARCH-type models, including three linear models and seven nonlinear models, to obtain the ex-ante hedging ratio under the minimum variance framework. Then, we develop a nove...
